Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market
Morelli, David
2010-12-22 00:00:00
The main purpose of this paper is to explore the cross-sectional relationship between security returns and beta, size and book-to-market equity in the Shanghai A-share market. This study takes place during the period January 1997–December 2006. The methodology of Fama and French (J Finance 51:55–84, 1992) and Pettengill et al. (J Financial Quant Anal 30:101–116, 1995) is adopted. The Results show no evidence of an unconditional relationship between beta and returns. However, a conditional relationship is found when the data is split into up and down markets. The relationship holds even in the presence of size and book-to-market equity. Both size and book-to-market equity is found to be priced by the market and thereby regarded as significant determinants of security returns.
http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.pngReview of Quantitative Finance and AccountingSpringer Journalshttp://www.deepdyve.com/lp/springer-journals/security-returns-beta-size-and-book-to-market-equity-evidence-from-the-gqaYuxtbpm

Abstract

The main purpose of this paper is to explore the cross-sectional relationship between security returns and beta, size and book-to-market equity in the Shanghai A-share market. This study takes place during the period January 1997–December 2006. The methodology of Fama and French (J Finance 51:55–84, 1992) and Pettengill et al. (J Financial Quant Anal 30:101–116, 1995) is adopted. The Results show no evidence of an unconditional relationship between beta and returns. However, a conditional relationship is found when the data is split into up and down markets. The relationship holds even in the presence of size and book-to-market equity. Both size and book-to-market equity is found to be priced by the market and thereby regarded as significant determinants of security returns.

Journal

Review of Quantitative Finance and Accounting
– Springer Journals

Published: Dec 22, 2010

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